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Nasdaq Dubai Derivatives Trading Manual version 3.6 / January 2019
Nasdaq Dubai Ltd
Level 7 The Exchange Building No 5 DIFC PO Box 53536 Dubai UAE +971 4 305 5454
Concerned department: Market Operations
For Trading related inquiries: trading@nasdaqdubai.com +971 4 305 5472/74
nasdaqdubai.com For more
information For clearing related queries: clearing@nasdaqdubai.com
+971 4 305 5133 / 35/ 39
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CONTENTS
1. INTRODUCTION ..................................................................................................................................................... 3
2. TRADING ............................................................................................................................................................... 3
2.1 TRADING PLATFORM INTERFACE ......................................................................................................................... 3
2.2 TRADING MODEL ................................................................................................................................................. 3
2.3 CLASSIFICATIONS OF CONTRACTS INTO BOARDS ................................................................................................. 3
2.4 INSTRUMENTS ..................................................................................................................................................... 4
2.5 NAMING CONVENTION – FUTURES CONTRACT ................................................................................................... 4
2.6 MARKET TIMING AND TRADING PHASES ............................................................................................................. 4
2.7 ORDER TYPES ....................................................................................................................................................... 6
2.8 EXECUTION CONDITIONS ..................................................................................................................................... 7
2.9 ORDER VALIDITY .................................................................................................................................................. 7
2.10 OFF-ORDER BOOK .............................................................................................................................................. 7
2.11 PRICE DETERMINATION ..................................................................................................................................... 8
2.12 TICK SIZE ............................................................................................................................................................ 9
2.13 SAFEGUARDS ..................................................................................................................................................... 9
2.14 SECURITY STATE .............................................................................................................................................. 10
2.16 MATURITY CYCLE ............................................................................................................................................. 10
2.17 TRADE CANCELLATION ..................................................................................................................................... 11
2.18 ADJUSTMENT TO SINGLE STOCK FUTURES CONTRACTS DUE TO CORPORATE ACTIONS ................................... 12
2.19 CLEARING ........................................................................................................................................................ 13
APPENDIX 1: CALCULATION OF THEORETICAL AUCTION PRICE (TAP) ...................................................................... 13
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1. INTRODUCTION
This Nasdaq Dubai Trading Manual describes the model of trading Derivatives Contracts on Nasdaq
Dubai and the functionality of the Derivatives trading platform. It addresses various Order types and the
available execution conditions, the price determination rules for trading and the various trading phases
on Nasdaq Dubai. It also includes cancellation procedures, trading safeguards and other trading
conditions.
2. TRADING
2.1 Trading Platform Interface
DFM X-Stream Trader Workstation: The DFM X-Stream Trader Workstation is a Windows based
application that must be installed on a PC with connectivity access to one of the trading distribution
gateways (located in London or Dubai). The DFM X-Stream Trader Workstation gives full trading access
to the DFM X-Stream trading platform and is fully equipped to support Members.
X-Stream Client Software Development Kit (SDK): The SDK contains the X-Stream client Application
Programming Interface (API). The SDK is used by Members of the Exchange to develop the software
that will connect to the X-Stream server. Members can use the SDK to develop their own in-house trading
application or alternatively can connect through one of our Independent Software Vendors.
FIX Gateway: FIX Gateway for DFM X-Stream trading platform is provided by Nasdaq and supports FIX
protocol version 4.4. The systems FIX Gateway supports the Members’ Order Management System.
2.2 Trading Model
The Nasdaq Dubai trading model comprises of two Order Books: (1) the Central Order Book (COB) and
(2) the Off Order Book (OOB). The COB is the main Order Book into which Orders are entered during
the trading day. The OOB is a reporting service for reporting pre-negotiated deals and Block Trades
between Nasdaq Dubai Members. Trades entered into the COB or OOB are considered as On Exchange
Transactions (they affect the market statistics on the trading day that they are entered).
2.3 Classifications of Contracts into Boards
All Derivatives Contracts will be tradable on the following Boards on DFM X-Stream:
1. 300 (Single Stock Futures AED)
2. 301 (Single Stock Futures USD)
3. 302 (Index Futures AED)
4. 303 (Index Futures USD)
5. 304 (Single Stock Futures SAR)
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2.4 Instruments
Each Derivatives Contract belongs to an ‘Instrument’ which represents the underlying of that
contract and each Instrument belongs to a ‘Board’ on the trading system. Instrument names will
begin with a short code denoting the underlying equity and an identifier like ‘FUT’ or ‘OPT’ to denote
a Futures or Options contract etc.
For example, EMAAR futures contracts will belong to instrument code EMAARFUT while ADCB
futures contracts will belong to instrument ADCBFUT.
2.5 Naming Convention – Futures Contract
The naming convention or Symbols for the Futures market is as follows:
Symbol (upto 6 characters) + Month char. (1 character) + Year char. (2 characters) + corporate
action (1 character - X, Y or Z)
Example:
DP World Futures Contract with June 2017 expiry: DPWM17
EMAAR Futures Contract with July 2017 expiry: EMAARN17
ALDAR Futures Contract August 2017 expiry: ALDARQ17
Note : For corporate actions affecting contracts, a character ‘X’ ‘Y’ or ‘Z’ will be
added at the end.
X: denotes first corporate action on a contract
Y: denotes second corporate action on a contract
Z: denotes third corporate action on a contract
Expiry Month Codes
Nasdaq Dubai has denominated expiry month codes for its Derivatives. The list of expiry month codes
is as follows:
Month Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Code F G H J K M N Q U V X Z
2.6 Market Timings and Trading Phases
The Nasdaq Dubai Market is open for trading from Sunday to Thursday.
The Trading and Settlement Calendar is available on the Nasdaq Dubai website.
Boards: 300, 301, 302, 303
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Market Timings Trading Phases
09:30 – 09:55 Pre-opening Auction
09:55 – 10:00 Pre-opening Adjustment (No Cancellation
Period)
10:00 Matching at TAP
10:00 – 14:00: Main Trading Session (Continuous Trading)
From 14:00 Post-Trading (Market Close)
Boards: 304
Market Timings Trading Phases
10:30 – 10:55 Pre-opening Auction
10:55 – 11:00 Pre-opening Adjustment (No Cancellation
Period)
11:00 Matching at TAP
11:00 – 16:10 Main Trading Session (Continuous Trading)
From 16:10 Post-Trading (Market Close)
Any changes in market timings or trading phases will be notified to the Members by way of a Notice.
Pre-opening Auction
The Pre-opening Auction is an Order accumulation period during which all orders
entered by the Members are automatically recorded in the Central Order Book (COB)
without being executed.
Orders can be amended or cancelled during this session. Entry of new Limit Orders is
permitted. No Market Orders are allowed during this session.
The Theoretical Auction Price (TAP) is calculated each time a new Order is entered or
amended into the COB.
The TAP is established using the rules detailed in Appendix 1.
Pre-opening Adjustment (No Cancellation Period)
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The Pre-opening Adjustment is a phase that occurs after the Pre-opening Auction where the
Members can enter new Orders, however, modifying or withdrawing existing Orders which leads to
decreasing the Order priority is not permitted.
The Pre-opening Adjustment session is an Order accumulation period during which all
Orders entered by the Members are recorded on the COB without being executed.
Entry of new Limit Orders entry is permitted. No Market Orders are allowed during this
session.
Members cannot cancel or deactivate their pending Orders or make the following
amendments:
o Decrease Order quantity
o Decrease price for Buy Order
o Increase price for Sell Order
At the end of the Pre-opening Adjustment session, Order matching will happen at TAP.
The TAP at which matching is done would be considered as the Opening Price.
Main Trading Session/ Continuous Trading
If there are matching orders in the COB at the end of the Pre-opening Auction, trades will take place
at the Theoretical Auction Price based on price/time priority. Once the Pre-opening Auction is
completed Continuous Trading in that security begins and orders can be entered, maintained,
modified and deleted. All orders that are unexecuted at the Pre-opening Auction are forwarded into
the Main Trading Session. The OOB will be available to report negotiated deals and block trades
during the Main Trading Session.
2.7 Order Types
Market Orders
Market Orders can only be entered into the trading platform during the Main Trading Session and do not
stipulate a price. A Market Order will execute as much quantity as possible, up to the Trading Safeguard
until it is completely filled. If a Market Order is only partially filled, then it is converted into a Limit Order
at the Best Bid price (for Sell Orders) or Best Ask price (for Buy Orders). Consequently, the existence of
a matching Order is essential. If no matching Order is available, the Order is rejected by the trading
platform.
Limit Orders
Limit Orders stipulate a maximum purchase price or minimum selling price. Limit orders entered during
the Main Trading Session are executed either fully or partially, as market conditions permit. If the
execution of a limit order is not immediately possible it is logged in the Order Book in descending buy-
price Order or ascending sell-price Order (the price priority principle) and joins the queue of Orders having
the same price (the time priority principle).
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2.8 Execution Conditions
Fill and Kill Orders
Fill and Kill (FAK) Orders can only be placed during the Main Trading Session. An FAK Order may be
filled in full or in part, depending on the market conditions at the time it is entered and at the specified
price or better (which could be a limit price or at market). The remaining part of any FAK Order that is not
executed immediately and in full is cancelled.
Fill or Kill Orders
Fill or Kill (FOK) Orders can only be placed during the Main Trading Session. An FOK Order can only be
executed in full, depending on the market conditions at the time it is entered and at the specified price or
better (which could be a limit price or at market). If an FOK cannot be immediately executed, the Order
will immediately expire.
2.9 Order Validity
There are three (3) types of validity constraints for Orders entered on the Nasdaq Dubai trading platform.
Day: A Day Order is the default validity and is only good for the current trading day. All outstanding
Orders with Day validity that have not been fully executed at the end of the trading day will automatically
expire.
Good Till Cancelled (GTC): GTC Orders are Orders with a validity period of 365 days, these Orders
remain in the Order Book for 365 days, or until the Order is either fully executed or the user cancels the
Order. All outstanding Orders with prices falling outside the Reference Safeguards will automatically
expire.
Good Till Date (GTD): GTD Orders are Orders that are good until a specified expiry date. The expiry
date can be up to a maximum of 365 days in the future. All outstanding Orders with prices falling outside
the Reference Safeguards will automatically expire.
Note: When an FAK or FOK execution condition is specified, the Order validity is automatically set to
immediate.
2.10 Off-Order Book
The OOB is a reporting service for Block Trades, OTC Transactions and Cross Trades entered outside
of the COB, but still on the Nasdaq Dubai Exchange which affect the market statistics on the day when
entered.
Normal Block Amounts for the Derivatives listed on Nasdaq Dubai are as follows:
Single Stock Futures: Lot size - 500 contracts
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Index Futures : Lot size - 100 contracts
Nasdaq Dubai offers its Members three (3) ways in which they can report OOB Transactions:
1. By sending the details of the trade by email to trading@nasdaqdubai.com by an authorized
signatory or copying the signatory on the email. The Trade Reporting form will need to be signed by
an authorized signatory and sent over
2. Through Bloomberg IB chat, provided the user is on our list of authorized traders.
3. By calling the Nasdaq Dubai Trading Desk at +971 4 3055472/5474, followed by an email
confirmation to trading@nasdaqdubai.com as explained in the first option
4. Executing through trading system interface provided for OOB trade execution.
Cross Trades
An automatic execution through the COB of a Buy and Sell Order from a single Member for its underlying
clients is permitted by the trading platform during Continuous Trading. Cross Orders have to be limited
at a price within the Best Bid Offer (BBO). A Cross Order at the BBO is only allowed at a volume higher
than the volume available in the Order Book at the BBO price. In a situation where a Cross Trade is
reported but between the time of reporting and registering of the trade on market by the Nasdaq Dubai
Trading team, if the trade no longer meets the Nasdaq Dubai crossing rules, Nasdaq Dubai may at its
sole discretion allow for the Cross Trade to be executed.
1. If there is no tradable price within the market’s BBO at the time of the entry, the trade can be crossed
at either the Best Bid or Offer.
2. If there are no quotes in the COB at the time of the entry, the trade can be crossed at or around the
previous Closing Price where the trade price will be subject to the Reference Safeguard limits.
2.11 Price Determination
Price determination in Continuous Trading is carried out according to the following rules, in addition to
the price/time priority:
Opening Price
Opening Price is the TAP calculated in accordance with Appendix 1. If TAP cannot be
determined for lack of activity in auction period, the first trade on a security determines the
Opening Price of that security.
Closing Price
On each Business Day, Nasdaq Dubai will determine the Closing Price as follows:
Closing Price will be the Last Traded Price (LTP) of the contract during the same Business Day.
If there is no last traded price on the same Business Day, Nasdaq Dubai will determine the
Closing Price based on quotes provided by its active market participants. Nasdaq Dubai will
use midpoint of such bid and offer quotes provided by its active market participants. Nasdaq
Dubai will have sole discretion to exclude any outliers at the time of such computation.
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If a price cannot be determined by the above methods on account of lack of quotes on
market, then the previous day’s Closing Price shall be the Closing Price.
However, if the price so determined does not reflect the actual market conditions, Nasdaq
Dubai may re-determine the daily settlement price at its sole discretion and may use
theoretical fair value for the same.
Closing prices will be published on the market within one hour from market close.
Reference Price
The Reference Price is used for ‘Order Reasonability’ checks, where there is no Bid/Offer. The
Reference Price of a contract is the previous Close Price of the contract, unless explicitly set by
Nasdaq Dubai.
Price during Continuous Trading
Each new incoming Order is immediately checked for execution against Orders on the other side of
the Order Book. Orders can be executed in full, in part or not at all. Thus each new incoming Order
may generate none, one or several executions. Orders in the Order Book will be executed according
to the price/time priority principle. Orders or parts thereof which have not been executed are sorted
in the Order Book according to price/time priority.
2.12 Tick Size
The tick size table for the equity Derivatives Contracts will follow the schedule below:
Price Range = Tick Size
AED Single stock futures (board 300) 0.001
USD Single Stock futures (board 301) 0.001
SAR Single Stock Futures (board 304) 0.01
AED Index futures (board 302) 1.00
USD Index Futures (board 303) 0.1
2.13 Safeguards
1. Reference Safeguard
In the following situation the Reference Safeguard will prevent the Order from
entering the DFM X-Stream trading platform:
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20% up from previous closing price and 15% down from previous closing price
(rounded to nearest decimal)
Example:
Below < -15%
-15 % Previous Closing
Price +20 %
Above > +20%
Rejected US$ 0.638 US$ 0.750 US$ 0.900 Rejected
Nasdaq Dubai reserves the right to redefine and modify the safeguard ranges intraday depending on the
market situations including but not exclusive to reinstatement of a contract following a halt or suspension
of trading, acquisitions, significant corporate news or extraordinary corporate actions. Nasdaq Dubai will
notify the market when any change to the threshold is made intraday.
2.14 Security State
Normally, the state of all contracts will be active and trading will occur as set out in the timetable of the
Board to which they belong. In certain circumstances, however, contracts may be subject to other states.
When changes occur in the status of a contract an information message is disseminated via the Nasdaq
Dubai trading platform.
Contracts on Nasdaq Dubai can be in the following states:
Active: Contracts in this state are available for trading. Members can enter new Orders, amend
existing Orders and cancel Orders. Contracts in an Active state will be represented by the letter
“A” in the status field indicated on the trading platform.
Suspended: Contracts in a Suspended state are not available for trading. Members cannot enter
new Orders or amend/cancel existing Orders. Contracts in a Suspended state will be represented
by the letter “S” in the status field indicated on the trading platform.
2.15 Futures contracts Specifications
Contract specifications are published via Notice and are available on the Nasdaq Dubai
website.
2.16 Maturity cycle
All standardized future contracts on single stocks admitted to trade on Nasdaq Dubai will have 1, 2
and 3 month expiry terms. Expiry date for a contract is 3rd Thursday of its expiry month. A new 3
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months contract is created a week before one month contract is expired (2nd Thursday of expiry
month). After expiry of 1 month contract, 2 months contract becomes 1 month contract and 3 months
contract becomes 2 months contract.
All standardized future contracts on equity index futures admitted to trade on Nasdaq Dubai will have 2
quarterly expiries. Expiry date for a contract is 3rd Thursday of its expiry month. A new contract with
quarterly expiry is created a week before a contract is expired (2nd Thursday of expiry month).
Example:
On start of trading of index futures, say there will be June and September expiry contracts. A new
quarterly expiry (for December) will be created on 2nd Thursday of June. The June contract will
expire on 3rd Thursday. This process of addition and expiration will continue on each consecutive
quarterly months.
Any change in maturity cycle on contracts will be published by way of notice.
For updated maturities please refer to the Notices published on the Nasdaq Dubai website.
2.17 Trade Cancellation
Members cannot cancel or modify any trades matched on Nasdaq Dubai. However, in the case of a
material error by a Member which was notified to Nasdaq Dubai within fifteen (15) minutes of the
Transaction being executed, Nasdaq Dubai may, but shall not be obliged to cancel all Transactions
affected as a consequence of such error. Nasdaq Dubai may also cancel any and all Transactions,
which in its reasonable judgment do not comply with its Procedures, Business Rules, DFSA Rules,
applicable laws or regulations.
These cancellation rules do not apply if the following conditions are true:
Trader errors such as the following are not considered to be grounds for cancelling a trade unless a
situation occurs where a cancellation would be in the best interest of maintaining a fair and orderly
market:
a. Entering a Sell Order instead of a Buy Order.
b. Entering an incorrect price where the price that the trade occurred at is not significantly away from
the current BBO or the LTP where no BBO exists.
c. Entering a higher or lower quantity than intended where it can easily be reversed. (Bids and
Offers are readily available at reasonable prices for that Contract).
d. The reversal of the error would result in a total loss of less than USD 1,000 or equivalent.
If a request for cancellation was received within a reasonable time, Nasdaq Dubai will deal with such
request on a case by case basis and apply the above guidelines as far as is practicable. Nasdaq Dubai
at its sole discretion will decide if a trade cancellation is required.
Request for cancellation
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A Trading Member wishing to cancel a Transaction shall submit the cancellation request via phone (+971
4 3055472/4) or email to trading@nasdaqdubai.com no later than fifteen (15) minutes from the time
the trade took place. Telephone requests must be confirmed by email as soon as practicable.
Procedures:
When a Nasdaq Dubai Trading Member has submitted a request for cancellation, Nasdaq Dubai will
assess whether the prerequisites for cancellation are present. If the prerequisites for the cancellation
request are satisfied, Nasdaq Dubai shall advise the other Nasdaq Dubai Trading Members involved in
the Transaction as soon as possible that the trade will be cancelled.
Trade Cancellations at the request of a Member will not be entitled to a reversal of trading fees.
Exchange initiated Trade Cancellations:
Nasdaq Dubai may, where required, cancel a trade to ensure the integrity of the market and that the
market is operating in a fair and orderly manner.
Trade Cancellations initiated by Nasdaq Dubai may be the result of:
a. An indisputable error or mistake which is caused by a technical or manual error entering an
incorrect price where the price that the trade occurred is significantly away from the current BBO
or the LTP where no BBO exists.
b. Breach of a material provision of law, regulation or rule.
c. Technical disruptions in the trading and/or clearing systems beyond the Trading Member's
control.
d. Trades that result in a misrepresentation of the market price.
Nasdaq Dubai will have the discretion to levy a trade cancellation fee on the party initiating the
cancellation. If a trade cancellation is a result of an error on Nasdaq Dubai’s part then the fees of the
cancelled trade will be waived for the Members involved.
2.18 Adjustment to Single Stock Futures contracts due to corporate actions
1) If Nasdaq Dubai considers an adjustment should be made to a Contract Series as a result
of a pro-rata corporate event, it may, without limitation and by Notice:
(i) make an adjustment to the Contract Series or to a related CCP Transaction, in order
to ensure that the value of the CCP Transaction is as far as practicable the same as
it would have been had the event not occurred; and
(ii) unless it considers it inappropriate to do so in the circumstances, round the
adjustment of any termto the nearest cent or unit of the Underlying Instrument under
Rule 7.3.10.
2) Nasdaq Dubai may by Notice determine when an adjustment is to be effective.
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3) If Nasdaq Dubai considers that it is not reasonably practicable to make an adjustment for an
event pursuant to this Rule 7.3.10, Nasdaq Dubai may decide not to make an adjustment
and may instead terminate or close-out CCP Transactions.
An adjustment is when, as a result of a corporate action, the exchange makes changes to one or
more contract Specifications. For an Options Contract this is usually to both the strike price and the
contract size and for a single stock Futures Contract it is usually only to the contract size.
Please refer to ‘The Nasdaq Dubai Contract Adjustment Guidelines’ for further details on the
procedures followed by Nasdaq Dubai when a Corporate Action is applied to the underlying security
and how adjustments are made to Futures Contracts. This document is available on Nasdaq Dubai
website.
Market announcement
Nasdaq Dubai will advise the market by Notice and by a message displayed on the Nasdaq Dubai
Trader workstation of its decisions regarding adjustments, terminations and suspensions.
2.19 Clearing
Please refer to ‘Clearing, Settlement and Risk Management Procedures for Derivatives’ available
on Nasdaq Dubai website.
Appendix 1: Calculation of Theoretical Auction Price (TAP)
Calculation Steps:
There are three (3) steps in determining the TAP (i.e. Closing Price). If a Closing Price cannot be
determined after the first step, the model progresses to the second step and, if necessary, the third.
The steps to calculate the TAP are applied in the following order:
Step 1: Maximum Tradable Volume – the price that generates the greatest tradable volume
(see Example 1).
Step 2: Establishing the Minimum Surplus – if there is more than one price at which there is
Maximum Tradable Volume, the price with minimum unexecuted volume (Minimum
Surplus) will be chosen (see Example 2).
Step 3: Midpoint – midpoint of the prices that have more than one Maximum Tradable Volume
and at least two prices with the same Minimum Surplus (see Examples 3 and 4). In
order to determine the TAP, the midpoint is rounded up to the nearest price tick.
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Step 1: The Maximum Tradable Volume
This step establishes the price(s) at which the maximum number of contracts will be traded. There
are two stages involved in applying this rule.
1. The first stage adds together all the bids (Cumulative Bid) and all the asks (Cumulative Ask).
The Cumulative Bid is calculated by taking the quantity of contracts from the highest bid
price and adding to this the quantity of contracts from the second highest bid price and then
the third highest bid and so on. The Cumulative Ask is calculated by taking the quantity of
contracts from the lowest ask price, and adding to this the quantity of contracts from the
second lowest ask price, then the third lowest and so on.
2. The second stage establishes the greatest tradable volume based on the Cumulative Bid
and Cumulative Ask at each price level. In Example 1, there is a Cumulative Bid of 180
contracts at a price of $0.81 that match with a Cumulative Ask of 180 contracts at the same
price of $0.81. In this example, the purchase Orders of 50 at $0.83 and 70 at $0.82 were
also executed at the lower price of $0.81. On the other side, the sale Orders of 100 at $0.79
and 60 at $0.80 were also executed at the higher price of $0.81.
Example 1:
Bid Quantity
(Limit Orders)
Cumulative Buy Quantity
Surplus Price Surplus Cumulative Sell Quantity
Ask Quantity
(Limit Orders)
50 50 0.83 130 180
70 120 0.82 60 180
60 180 0 0.81 0 180 20
180 20 0.80 160 60
180 80 0.79 100 100
In the Order Book situation displayed above, the TAP will be $0.81 according to the Maximum
Tradable Volume.
Step 2: Establishing the Minimum Surplus
If there is more than one price at which there is a Maximum Tradable Volume, the price with the
Minimum Surplus (the fewest unexecuted contracts) will be chosen as the TAP.
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In Example 2 below, the Maximum Tradable Volume is 80, being the total number of contracts that
make up the Cumulative Ask which can be executed at three prices of $0.80, $0.81 and $0.82. In
this example, the TAP is $0.82 because the Maximum Tradable Volume of 80 can be executed
against a Cumulative Bid of 90 securities at a price of $0.82 leaving just 10 contracts unexecuted.
Example 2:
Bid Quantity
(Limit Orders)
Cumulative Buy Quantity
Surplus Price Surplus Cumulative
Sell Quantity
Ask Quantity
(Limit Orders)
50 50 0.83 30 80
40 90 10 0.82 80
10 100 20 0.81 80
100 20 0.80 80 30
100 50 0.79 50 50
In the Order Book situation displayed above, the TAP will be $0.82 according to the Maximum
Tradable Volume with the Minimum Surplus.
Step 3: Midpoint
Step 3 applies in a situation where there is more than one Maximum Tradable Volume with the
same Minimum Surplus. In this case, the midpoint of the prices that have more than one Minimum
Surplus becomes the TAP. In Example 3 below, the Maximum Tradable Volume yields three
possible auction prices; the Minimum Surplus also yields three possible auction prices; therefore,
the Midpoint is used to determine the TAP.
Example 3:
Bid Quantity
(Limit Orders)
Cumulative Buy Quantity
Surplus Price Surplus Cumulative
Sell Quantity
Ask Quantity
(Limit Orders)
50 50 0.83 80 130
60 110 0.82 20 130
110 0.80 20 130 90
110 70 0.79 40 40
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In the Order Book situation displayed above, the TAP will be $0.81 according to the Maximum
Tradable Volume with the Minimum Surplus and taking the Midpoint (between 0.82 and 0.80).
In Example 4 below, the Maximum Tradable Volume yields two possible auction prices; the
Minimum Surplus yields two possible auction prices; therefore, the Midpoint of $0.805 is used to
determine the TAP.
Example 4:
Bid Quantity
(Limit Orders)
Cumulative Buy Quantity
Surplus Price Surplus Cumulative
Sell Quantity
Ask Quantity
(Limit Orders)
50 50 0.82 20 70
20 70 0.81 70
70 0.80 70 40
70 40 0.79 30 30
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